Nathan Lassance

UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance

voie du roman, 34

Louvain-la-neuve, 1348

Belgium

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 46,009

in Total Papers Downloads

1,189

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (7)

1.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, forthcoming
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 18 May 2021
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, London Business School and Louvain Finance Center (LFIN), UC Louvain
Downloads 555 (60,546)
Citation 2

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

2.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, 2021, 299(1):23-46.
Number of pages: 37 Posted: 16 May 2017 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 146 (242,157)
Citation 2

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Portfolio selection, Shannon entropy, Rényi entropy, Risk measure, Information theory, Risk parity

3.

Information-Theoretic Approaches to Portfolio Selection

Louvain School of Management Doctoral Thesis
Number of pages: 240 Posted: 04 Jan 2020 Last Revised: 21 Jan 2020
Nathan Lassance
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance
Downloads 121 (279,758)
Citation 1

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Portfolio selection, higher moments, information theory, entropy, independent component analysis

4.

A Robust Approach to Optimal Portfolio Choice with Parameter Uncertainty

Number of pages: 61 Posted: 01 Jun 2021
Nathan Lassance, Alberto Martin-Utrera and Majeed Simaan
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance, New Jersey Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 111 (297,233)

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mean-variance portfolio, parameter uncertainty, estimation risk, out-of-sample performance, shrinkage

5.

A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

Applied Economics, Volume 50, Issue 10, pp. 1122-1137
Number of pages: 15 Posted: 17 Jul 2017 Last Revised: 05 Jan 2018
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 108 (303,019)

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Option Pricing, Dynamic Hedging, Stochastic Volatility, Payoff Replication, Calibration

6.

Portfolio selection with parsimonious higher comoments estimation

Journal of Banking and Finance (2021), 126(9), 106-115.
Number of pages: 29 Posted: 01 Oct 2019 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance and Louvain Finance Center (LFIN), UC Louvain
Downloads 92 (336,632)
Citation 2

Abstract:

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Portfolio selection; Estimation risk; Independent component analysis; Principal component analysis; Higher moments

7.

Reconciling mean-variance portfolio theory with non-Gaussian returns

European Journal of Operational Research, forthcoming
Number of pages: 36 Posted: 15 Sep 2020 Last Revised: 09 Jun 2021
Nathan Lassance
UCLouvain - UCLouvain, Louvain School of Management - Louvain Finance
Downloads 56 (441,929)

Abstract:

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Mean-variance portfolio, Higher moments, Estimation risk